Abstracts

We analyse the technique based on the regression-based numerical approach that was applied to options e.g. in the seminal paper of Longstaff and Schwartz (2001) for pricing and hedging of Variable Annuities with ratchet GMWB riders for life with the option of early partial or full surrender. We compare our results with earlier studies of e.g. Holz, Kling and Ruß (2006) or Coleman, Kim, Li and Patron (2006) and propose an extension to the structure set up in Bauer, Bergmann and Kiesel (2010). We investigate Hedging programs based on the above method and arrive at somehow different results than previous studies.